Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0770
Annualized Std Dev 0.2535
Annualized Sharpe (Rf=0%) 0.3038

Row

Daily Return Statistics

Close
Observations 4039.0000
NAs 1.0000
Minimum -0.1310
Quartile 1 -0.0069
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0079
Maximum 0.0854
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0160
Skewness -0.3796
Kurtosis 6.9451

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0112
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.6412
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0479
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-06 -0.6412 1491 444 1047
2019-12-20 2020-03-23 2020-12-04 -0.4983 242 63 179
2015-06-24 2016-02-11 2016-11-10 -0.2586 351 161 190
2018-08-22 2018-12-24 2019-12-12 -0.2475 330 86 244
2014-07-07 2014-10-10 2015-03-02 -0.1367 165 69 96

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA -0.6 0.1 0.2 0.4 -0.2 0.4 0.4 -0.4 1.7 -0.8 1.1
2006 0.2 1 0 -0.8 2.1 0.3 -1.5 0.5 -1.3 -1.7 -0.9 -1.1 -3.2
2007 0.8 0.1 -0.2 0.4 0.9 -1.1 0.7 1.1 2.2 -4.1 0.4 -1.1 -0.2
2008 2.1 -3 2.8 2.7 -0.9 -0.1 0.6 -0.9 3.4 3.5 -13.1 4.3 -0.2
2009 -2.7 -0.4 2.6 -0.1 3.5 2.3 0.9 -2.6 -2.7 -2.8 0.8 -1.3 -3
2010 1.1 1.8 1.3 -3 -3 -0.5 -0.5 3.7 0.7 -0.6 2.1 -1 2.1
2011 2.2 -1.1 1.1 0.3 -2.9 1.8 -0.1 -2.7 -2.8 -2.9 0.3 -0.2 -6.9
2012 1.8 0.4 -0.2 -0.4 -3.3 3 -1.9 0 0.4 1.7 -0.3 2.1 3.3
2013 1.3 0 -1.5 -2.2 -0.8 1.8 1.4 -1.4 0.9 -0.2 0.8 0.1 0
2014 -0.8 0.2 1.1 -0.9 -0.2 1.2 -0.9 0.4 -1.6 1.7 -1.3 -0.3 -1.7
2015 -1.7 -0.1 -0.3 0.5 0.3 -0.3 0 -3.1 -0.5 -0.9 0.1 -1 -6.8
2016 -0.2 1.5 -0.2 -0.5 0.4 0.8 -0.9 -0.7 1.5 -1.3 0 -0.7 -0.2
2017 0 2.4 0.1 0.2 1.8 0.3 -0.2 0.9 0 -0.3 0 -0.2 5
2018 0.2 -0.9 1 -1 0.9 -0.2 -0.6 -0.1 -0.5 1.3 -0.5 0 -0.4
2019 0.1 -0.1 1.3 -0.7 -1.3 0 -2.7 -0.4 -1.8 1.9 -0.9 0 -4.6
2020 -2.2 -1.2 -6.5 -4.2 0.4 -2.3 -1.7 1.6 1 -2.2 1.4 0 -15.1
2021 -2.6 3.8 -0.5 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  15.1 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  15.3 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  15.2 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  15.0 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  14.8 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  14.8 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart